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Procedia Economics and Finance 15 (2014) 206 – 213

Emerging Markets Quueries in Finance and Business

The Role of Fundamental Inforrmation for Trading Strategy Creation

Viliam Vajda*, Pavel Kisela

Technical University of Košice, Facultyy of Economics, Letná 9, Košice 040 01, Slovakia

Abstract

The fundamental information, in the current world, is onne of the main elements for decision making among governments,
banks and individual investors. The paper discusses use of o basic fundamental indicators in the trading strategy creation. The
main goal and research idea is to test the ability, sensitivitty and reaction rate of markets on the information. The idea was to
research how quickly market absorbs an announced vaalue of the fundamental information and converse them into the
desired changes in the price movements. Research offers an unconventional look at the instrument price movement, taking
into consideration compared value changes of fundameental information and different time delays applied to the entry
positions. The approach is applied to the major stock inndex S&P 500 representing the widest scope of the market. The
length of the time series, on which the strategies could be tested, together with the impact of information, served us as
determinants of the stock indexes selection. In the develoopment phase the maximum possible combinations of strategies for
decision-making algorithm, were tested. The results weree used for the selection of the most efficient strategies taking into
account the smallest drawdown. At the end of the paper the results and strategies are discussed, and selected strategies are
back-tested on the underlying assets ETF, SPDR S&P 5000 (SPY).

©©2014
2012The Authors. Published
Published by Elsevier
by Elsevier B.V. This and/or
Ltd. Selection is an open access articleunder
peer-review under responsibility
the CC BY-NC-ND license Science and
of Global
(http://creativecommons.org/licenses/by-nc-nd/3.0/).
Technology Forum Pte Ltd
Selection and peer-review under responsibility of the Emerging Markets Queries in Finance and Business local organization
Keywords: Fundamental Information; Trading; ETF; DJIA30; S&P500;
S Decision Making

1. Introduction

When we look at the personal money management, in Slovak republic, it is still common to prefer passive
investing or “invest” savings only into the simplee banking products. Recent situation in the banking sector

* Corresponding author. Tel.: +421-55-602 3278; fax: +0-0000-000-0000 .

E-mail address: viliam.vajda@tuke.sk

2212-5671 © 2014 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license
(http://creativecommons.org/licenses/by-nc-nd/3.0/).
Selection and peer-review under responsibility of the Emerging Markets Queries in Finance and Business local organization
doi:10.1016/S2212-5671(14)00481-X
 Viliam Vajda and Pavel Kisela / Procedia Economics and Finance 15 (2014) 206 – 213 207

confirmed the increasing importance of active self-management of personal savings. Due to fact that people
have been increasingly investing into e.g. the mutual funds, the trend of investing and trading is on the
ascending curve. In the process of investing or trading, active investor can use several analysis of individual
asset or market as a whole. Of course, the active investor has to concern on the risk of selected asset and several
authors discuss about determination of these risks e.g. systematic risks in the stock trading (Glova, 2013), or
political risks in the pension system, which is in the Slovak republic expanded and presented as a suitable form
of investment (Šebo and Virdzek, 2012). One of the mentioned analyses is fundamental analysis. According to
InvestoWords.com: “Fundamental analysis is a method of security valuation which involves examining the
company's financials and operations, especially sales, earnings, growth potential, assets, debt, management,
products, and competition. Fundamental analysis takes into consideration only those variables that are directly
related to the company itself, rather than the overall state of the market or technical analysis data”. On the other
hand, according to McClure (2010), from the broader scope, we can perform fundamental analysis on industries
or the economy as a whole. According to Grimm (2012), primary objective of a stock analyst is to gain a
thorough understanding of the object firm and the environment in which it operates. This requires an
assessment of management capabilities, anticipating outside forces that may impact the firm, and anticipating
changes in economic, regulatory, natural, and geopolitical environments that could affect a firm's performance.
The more complete the analyst's understanding of the firm and its operating and competitive environments, the
more effective he should be at anticipating its future prospects. The Bonenkamp et al. (2011) underlined, if past
price changes only reflect temporary pricing pressure, then they have no predictive power for future returns,
and technical trading strategies are doomed to failure. Looking only at technical trading information does not
allow the investor to distinguish between these two cases. They suggest solving this problem by taking
fundamental information into account.
In the research we use fundamental analysis approach to indicate performance of the strategy, according to
comparison of fundamental value development together with value of the ETF development combined with
simple indicators of technical analysis.

2. Methodology

For the research purpose, the data from the Yahoo finance about prices of financial instruments were used.
For the fundamental macro information, the MS Excel Add-on – “FRED Add-In for Microsoft Excel” was
used. Each announced economic fundament represents potential impact which may affect the prices of financial
instruments. In our research therefore we focus on the fundaments that have the greatest impact on changing
the prices of these instruments. Since in this section we discuss macro level we choose a financial instrument
(index) comprising the largest possible share of the market, on which we will test trading strategies.
Geographically, we discuss only the U.S. financial markets so the financial instrument for testing will be index
S&P500. However, the results have explanatory value, the final testing of developed strategies will be
performed to the easy tradable financial instrument, which is the underlying S&P500 and this instrument is the
SPY (ETF for the S&P500).
Most data are announced on a monthly basis. Therefore, the fundaments will be used also on a monthly
basis. As the availability of data (in used add-on) is always up to the end of the month in which they were
announced, we will use close prices of SPY for testing. Slippage of the information will not interfere testing,
whereas our strategy will be important to have information on each of the fundamental information on the same
time, at the end of the month.
208 Viliam Vajda and Pavel Kisela / Procedia Economics and Finance 15 (2014) 206 – 213

2.1. Macroeconomic fundamental testing

The main idea on which we developed a trading system is built on the premise, that the announced economic
information data affects the price of the financial instrument. However, we had to consider different time
delays in reflecting the price change of the instrument. On this basis, we developed essentially very simple
trading strategies, which were based on the decision-making algorithms described below. These strategies were
thus divided into four groups:
• Strategies group A: Enter the trade position, when the price of the ETF decrease and also decrease the value
of announced fundament compared to the previous period (buy financial instrument SPY)
• Strategies group B: Enter the trade position, when the price of the ETF decrease and the value of announced
fundament increase compared to the previous period (buy financial instrument SPY)
• Strategies group C: Enter the trade position, when the price of the ETF increase and also increase the value
of announced fundament compared to the previous period (buy financial instrument SPY)
• Strategies group D: Enter the trade position, when the price of the ETF increase and the value of announced
fundament decrease compared to the previous period (buy financial instrument SPY)
In each of these groups, the periods were modified according to the logic: “Enter the trade position (buy
financial instrument SPY) in the same period, when the price of the ETF increase/decrease and the value of
announced fundament decrease/decrease; or in the two periods; three periods; four periods; five periods later
after the entering signal. These strategies were then applied to all economic fundaments for all of the available
historical data. For the interpretation purpose we used fundaments with highest impact (according to
www.bloomberg.com and www.forexfactory.com) on the monthly basis. The performance of each group of
strategies and periods delays is shown in the Table 1 – 4. For the comparability of the results in the
development stage on the S&P500 and subsequent back-test on financial instruments SPY we have chosen the
time period since 1993. The reason was that the ETF began to emerge at a later stage and SPY, itself, was for
the first time traded in 1993. Results back-test for SPY, are shown below the tables of all developed and tested
strategies.

Table 1. Performance of the strategies in a group A

SPY – price decrease; Fundament - value decrease
1M delay 2M delay 3M delay 4M delay 5M delay Average
Housing Starts 29.38% 3.38% 1.65% -8.65% 13.01% 7.75%
Building Permits -8.72% 42.89% -11.55% 5.54% 47.43% 15.12%
PMI Composite Index -7.53% 31.04% -22.72% 79.20% 18.77% 19.75%
Non-Farm Employment Change -10.12% 0.69% -54.05% -41.44% 15.66% -17.85%
Unemployment Rate 76.44% 56.34% 11.72% 51.76% 3.20% 39.89%
Retail Sales 32.62% -13.63% -48.55% 21.23% 2.50% -1.17%
Consumer Price Index -10.80% 38.07% 16.54% 48.67% -4.31% 17.64%
Producer Price Index 21.84% -2.66% -4.33% 126.44% 22.75% 32.81%
Average 15.39% 19.52% -13.91% 35.34% 14.88%

Table 2. Performance of the strategies in a group B

SPY – price decrease; Fundament - value increase
1M delay 2M delay 3M delay 4M delay 5M delay Average
Housing Starts 21.15% 45.32% -18.07% 78.68% 32.94% 32.00%
 Viliam Vajda and Pavel Kisela / Procedia Economics and Finance 15 (2014) 206 – 213 209

Building Permits 71.72% 5.14% -5.84% 54.65% 1.90% 25.52%

PMI Composite Index 89.43% 25.07% 25.77% 32.24% 13.26% 37.16%
Non-Farm Employment Change 74.38% 49.21% 81.24% 178.69% 29.90% 82.69%
Unemployment Rate -35.52% 13.73% -3.60% -2.15% 50.42% 4.58%
Retail Sales 18.19% 73.94% 61.88% 34.63% 46.58% 47.04%
Consumer Price Index 75.71% 8.81% -28.54% 9.78% 57.01% 24.55%
Producer Price Index 24.61% 48.68% -10.13% -29.91% 27.47% 12.14%
Average 42.46% 33.74% 12.84% 44.58% 32.44%

Table 3. Performance of the strategies in a group C

SPY – price increase; Fundament - value increase
1M delay 2M delay 3M delay 4M delay 5M delay Average
Housing Starts 58.56% 77.62% 66.90% 27.46% 5.68% 47.24%
Building Permits 34.81% 27.68% 142.68% 85.69% 4.81% 59.13%
PMI Composite Index 60.43% -3.30% 49.86% 30.75% 15.39% 30.63%
Non-Farm Employment Change 83.60% 137.41% 192.65% 80.77% 169.28% 132.74%
Unemployment Rate 63.30% -23.62% 62.53% 42.26% 28.84% 34.66%
Retail Sales 39.38% 98.76% 179.76% 31.73% 56.36% 81.20%
Consumer Price Index 27.73% 33.32% 42.31% 84.99% 21.92% 42.05%
Producer Price Index 42.55% 80.43% 62.38% 7.94% 122.55% 63.17%
Average 51.30% 53.54% 99.88% 48.95% 53.10%

Table 4. Performance of the strategies in a group D

SPY – price increase; Fundament - value decrease
1M delay 2M delay 3M delay 4M delay 5M delay Average
Housing Starts 27.80% 12.96% 124.63% 49.43% 88.91% 60.75%
Building Permits 47.83% 67.13% 54.45% 3.36% 99.92% 54.54%
PMI Composite Index 15.80% 114.22% 137.04% 55.06% 51.69% 74.76%
Non-Farm Employment Change 6.35% -8.77% 21.57% 5.03% -25.56% -0.28%
Unemployment Rate 44.73% 120.57% 31.52% 40.12% 18.68% 51.12%
Retail Sales 46.57% 3.37% 31.99% 43.86% 25.32% 30.22%
Consumer Price Index 54.94% 57.23% 158.06% 5.30% 63.13% 67.73%
Producer Price Index 39.80% 18.27% 130.83% 77.83% -5.85% 52.18%
Average 35.48% 48.12% 86.26% 35.00% 39.53%

According to the results, trend-based strategies achieved the best performances (Table 3). We can also see
that the best overall averages for the group strategies are centered precisely in the above-mentioned strategies.
From the perspective of time delay, it is interesting, that the best results performed that strategy, which had
entering position in the third time period after the inception of the signal. Contrarian approach used in strategies
in the group A was, with a few exceptions, accompanied by many failures. From those results, we chose two
strategies with high performance to make the comparison. We compared them to the financial instrument SPY
that served us as a benchmark. The results of an equity curves can be seen in the Fig. 1 below.
210 Viliam Vajda and Pavel Kisela / Procedia Economics and Finance 15 (2014) 206 – 213

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Fig. 1. Equity curves

The best strategy was based on the indicator Nonfarm payrolls with a lag of two time periods. The second
tested, was the strategy that was based on the Consumer Price Index, with the entering position in the third
period after the signal. As we can see, the both strategies have slightly lower performance than SPY, which
reached performance at the level of 217.86% within the same period. On the other hand, both strategies avoided
a huge drop that started in 2000 and 2007. When we used a combination of these strategies, the profit reached
the level of 256.51% without running high risk. The green curve on a Fig. 1 represents combination of these
strategies. Combination means the entering into the market according to signal of first or second strategy. For
signals that arose simultaneously in both strategies, we have always entered only one position. The trade
accounts among brokers allow trading securities with the leverage 1:2, so we can trade both strategies at the
same time simultaneously. Thanks to the leverage we can reach higher profit as we can see at the Fig. 1. Since
both of these strategies, in the testing phase, could avoid major drops, there was no need to undergo a much
higher risk. In this case, we reached profit at the level of 586.47%, which is more than double that, the market
itself represented by only SPY.

2.2. Development of the “Switcher”

In testing phase we have focused mostly on macroeconomic indicators. Fundamentals are also important at
the micro level. According to Tay (2010) Micro-Fundamental Analysis starts with considering the current price
of a stock and compares it to measures of value. Hence the current price of a stock is compared to its dividend,
its earnings, and to its assets resulting in valuation ratios such as its dividend yield, price to earnings ratio and
its price to asset ratio. The principle of "Switcher" development was the usage of fundamental information –
Screener (www.stockscreen123.com) whereby we analyzed 68 fundamental information. List of analyzed
fundamentals can be seen in Annex A.
Each of individually analyzed fundamentals provides an overview of how many shares we have to include to
the portfolio at a given period. For comparability, we again used the S&P500. From the results of the screener,
on a monthly basis, we determined the weight for subsequent testing positions in the trading with ETF. The
crosses of the moving averages (MA) with parameter 20 and 50 were used as signals for entering the position.
If MA 20 crosses MA 50 upward it gives a signal to buy riskier assets, in our case SPY. If MA 20 crosses MA
50 downward it gives a signal to sell all risky assets. In the Fig.2 we can see the performance of trading on the
basis of the signals generated by fundamental information. As the base we determined performance of SPY
itself. The performance of fundamental information was tested by the following procedure:
 Viliam Vajda and Pavel Kisela / Procedia Economics and Finance 15 (2014) 206 – 213 211

• According to the fundamental information, Screener evaluates and recommends the number of companies
whose shares should be held. However, it does not indicate any other specific details.
• Subsequently, the weights for the given time periods were calculated as the proportion of recommended
number of companies to the total number of companies in the index.
• The difference in SPY price, in a given period, was multiplied by the calculated weight for the same period.
• At the same time we calculated MA 20 and MA 50, and on the basis of their crosses we defined, if the
conditions in the period were good enough to buy or hold the specified % of SPY.

When “Switcher” announced that the position is too risky, we did not consider alternative investments and
in the testing phase we have left available funds at the account without additional profit. As can be seen from
the Fig. 2 below, some of the fundamental information generates higher some lower performance than SPY
itself (as a base).

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Fig. 2. Performance according to selected fundaments

The proposed procedure was applied to all 68 fundamental information in a given period and subsequently,
based on the simple average, a robust system was created for determining the entry to the positions or sell all
assets. The Fig. 3 shows the equity curve when using "Switcher" methodology.

Even though the created and tested strategies were without significant drawdowns, when using “switcher”,
the tested strategies showed smoother equity curve. However, the total profit at the end of testing was similar to
the previous one, and so we were able to avoid periods with a huge decline at the market. This is particularly
important because of the leverage, when any significant downward movement can cause substantial damage to
our account. Ultimately, we were able to increase final profit, which climbed at the level of 608.66%.
Therefore, it is very positive that the application had such an impact on the equity curve and allows us to take
advantage of the leverage to maximize profits. Horizontal parts on the equity curves (Fig.3) represent time
periods, when “Switcher” evaluates situation as too risky for trading.
212 Viliam Vajda and Pavel Kisela / Procedia Economics and Finance 15 (2014) 206 – 213

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Fig. 3. Equity curves with “Switcher”

3. Conclusion

In the paper we present several methods and approaches before using tools of fundamental analysis in the
construction of a sufficiently powerful trading strategy. No matter how powerful or profitable strategies were
developed during their tests in the terms of historical data, the simulated performance will be not a guarantee of
the performance in the future. Both, theory and practice of trading show that successful strategies are often a
"temporary" functional. Thus, it is expected that necessary changes at the financial market will influence the
developed trading strategy or system. Trading system will be successful only for a limited time, when it suits
"discovered" right combination of fundamental or technical conditions, or selected combinations of
instruments. Preventing action against potential trading strategy “deactivation” in the trading practice is
achieved by application of the moving averages calculated from the actual equity curve. We could use MA
because the underlying asset, that in our case was the equity curve, was in a clear and unambiguous trend. The
problem occurs at significantly volatile or long sideways movement of EC, when the strategy generates a large
number of "false" signals. Also, when using the screener for the stock selection, it may happen that the system
generates too many shares that an investor should buy or sell. In this case, the question is which of the shares
investor should choose as a prior. The ranking system, or screen based on Piotroski (2000) should help to select
“right” and appropriate shares and this part of the process will be subject of the further research.

Acknowledgements

Paper was supported by the scientific grant agency of the Ministry of Education, Science, Research and
Sport of the Slovak Republic under the contract No. VEGA 1/0795/13.

References
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and Accounting, 38 (7-8), pp. 842-860.
Grimm, R.C., Fundamental analysis as a traditional austrian approach to common stock selection. (2012) Quarterly Journal of Austrian
Economics, 15(2), pp. 221-236.
Glova, J., Determinacia systematickeho rizika kmenovej akcie v modeli casovo-premenliveho fundamentalneho beta. (2013) E+M
Ekonomie a Management, Vol.16, No. 2, p. 139.
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Investorwords.com. Fundamental analysis. (2013) Definition.

McClure, B. Introduction to Fundamental Analysis. (2010) Investopedia.com, p.2.
Piotroski, J.D. Value Investing: The use of historical financial statement information to separate winners from losers (2000) Journal of
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Economics 60(5), pp. 482–494.
Tay, R. Fundamental Analysis. (2010) Securities Investors Association (Singapore)
www.bloomber.com
www.stockscreen123.com

Appendix A. List of fundamental information

List of used fundamental information

Insider Ownership Latest Sharpe: The Ratio of Reward Return on Equity 5 years
Sales Growth Last 12 months
Quarter to Risk

Market Earnings: SP500 Short Covering In Latest Accrual Ratio Last 12 Months
Asset Turnover Last 12 Months
Estimate Revision Month

Undiscovered: Low Revision: Quarterly Estimate Little Short Interest Return on Equity Last 12
Institutional Ownership vs. Estimate 13 Weeks ago Months

Industry Average: Sales Can Pay Debt: Interest Little Short Interest
Enough Cash: Current Ratio
Growth - Last Quarter Coverage

Revision: Quarterly Estimate Return on Investment 12

Insider Buying Latest Quarter Significant Short Interest
vs. Estimate 4 Weeks ago Months

Insider Selling Latest Quarter Sales Growth Last Quarter Yield Sales Growth Last 5 Years

Following The Big Guys: Industry Average: Share Price Reasonable Payout Ratio Operating Margin Last 12
Institutional Buying Performance - 13 Weeks Months

Revision: Next Year Est. vs. Industry Average: Earnings Operating Margin Last 5 years Industry Average: Share Price
Est. 4 Weeks ago Growth - Last 5 Years Performance - 4 Weeks

Industry Average: Return on Pretax Margin Last 5 years Price-Earnings using estimate
PEG Ratio
Investment - Last 5 Years of current-year EPS

Revision: Next Year Est. vs. Analyst Recommendations Inventory Turnover Last 12
Earnings Growth Last 5 Years
Est. 13 Weeks ago Months

Beta: Stock Volatility Earnings Growth Last Q vs. Q Reasonable Debt: Total Debt to Earnings Growth Last Q vs.
Compared to SP500 Volatility 1Y ago Equity prior Q

Upgrade: Change in Analyst Earnings Growth Last 12 Industry Average: Earnings Price-Earnings using reported
Recommendations - 4 Weeks months Growth - Last 12 Months EPS

Company Repurchasing Its Gross Margin Last 5 years Net Margin Last 5 years
Volatility of EPS Trend
Shares

Revision: Cur Year Est. vs. Return on Investment 5 years Industry Average: Earnings
Pre-tax Margin Last 12 Months
Est. 4 Weeks ago Growth - Last Quarter

Revision: Cur. Year Est. vs. Gross Margin Last 12 Months Price to Book Value Industry Average: Sales
Est. 13 Weeks ago Growth - Last 12 months

Price-Sales Price to Book Value Industry Average: Sales

Surprise: Beat Estimates
Growth - Last 5 Years

Market Valuation: SP 500 Risk Good Dividend Growth Rate Net Margin Last 12 Months Price-Earnings using estimate
Premium of next-year's EPS